Nothing
R/AccrInt.R
In BondValuation: Fixed Coupon Bond Valuation Allowing for Odd Coupon Periods and Various Day Count Conventions
Defines functions
AccrInt
Documented in
AccrInt
#' AccrInt (calculation of accrued interest)
#'
#' \bold{AccrInt} returns the amount of interest accrued from some starting date
#' up to some end date and the number of days of interest on the end date.
#'
#' \tabular{cl}{
#' \code{DCC} \tab required input \cr
#' _____________________ \tab _____________________________________________ \cr
#' 1,3,5,6,8,10,11,12,15,16 \tab \code{StartDate}, \code{EndDate},
#' \code{Coup}, \code{DCC}, \code{RV} \cr
#' 2,14 \tab \code{StartDate}, \code{EndDate},
#' \code{Coup}, \code{DCC}, \code{RV},
#' \code{CpY}, \code{EOM} \cr
#' 4 \tab \code{StartDate}, \code{EndDate},
#' \code{Coup}, \code{DCC}, \code{RV},
#' \code{CpY}, \code{EOM},
#' \code{YearNCP} \cr
#' 7 \tab \code{StartDate}, \code{EndDate},
#' \code{Coup}, \code{DCC}, \code{RV},
#' \code{Mat} \cr
#' 9,13 \tab \code{StartDate}, \code{EndDate},
#' \code{Coup}, \code{DCC}, \code{RV},
#' \code{EOM} \cr
#' =================== \tab ======================================== \cr
#' }
#'
#' Assuming that there is no accrued interest on \code{StartDate} the function
#' \bold{AccrInt} computes the amount of interest accrued up to \code{EndDate}
#' under the terms of the specified day count convention \code{DCC}. The function
#' returns a list of two numerics \code{AccrInt}, and \code{DaysAccrued}.
#' If \code{InputCheck = 1} the input variables are checked for the correct
#' format. The core feature of this function is the proper handling of the
#' \emph{\bold{day count conventions}} presented below. The type of the day
#' count convention determines the amount of the accrued interest that has
#' to be paid by the buyer in the secondary market if the settlement
#' takes place between two coupon payment dates.
#'
#' \itemize{
#' \item Many different day count conventions are used in the market.
#' Since there is no central authority that develops these conventions
#' there is no standardized nomenclature. The tables below provide
#' alternative names that often are used for the respective conventions.
#' Type \code{View(List.DCC)} for a list of the day count methods
#' currently implemented.
#' \item Detailed descriptions of the conventions and their application may
#' be found in Djatschenko (2018), and the other provided references.
#' }
#'
#' \bold{Day Count Conventions}
#'
#' \describe{
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{Actual/Actual (ISDA)} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 1 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab Actual/Actual, Act/Act, Act/Act (ISDA) \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab ISDA (1998); ISDA (2006) section 4.16 (b) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{Actual/Actual (ICMA)} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 2 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab Actual/Actual (ISMA), Act/Act (ISMA), \cr
#' \tab | \tab \tab Act/Act (ICMA), ISMA-99 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab ICMA Rule 251; ISDA (2006) section 4.16 (c); \cr
#' \tab | \tab \tab SWX (2003) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{Actual/Actual (AFB)} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 3 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab AFB Method, Actual/Actual (Euro), \cr
#' \tab | \tab \tab Actual/Actual AFB FBF, ACT/365-366 (leap day) \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab ISDA (1998); EBF (2004) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{Actual/365L} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 4 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab Act/365-366, ISMA-Year \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab ICMA Rule 251; SWX (2003) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{30/360} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 5 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab 360/360, Bond Basis, 30/360 ISDA \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab ISDA (2006) section 4.16 (f); \cr
#' \tab | \tab \tab MSRB (2017) Rule G-33 \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{30E/360} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 6 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab Eurobond Basis, Special German (30S/360), \cr
#' \tab | \tab \tab ISMA-30/360 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab ICMA Rule 251; ISDA (2006) section 4.16 (g); \cr
#' \tab | \tab \tab SWX (2003) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{30E/360 (ISDA)} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 7 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab none \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab ISDA (2006) section 4.16 (h) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{30/360 (German)} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 8 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab 360/360 (German Master); German (30/360) \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab EBF (2004); SWX (2003) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{30/360 US} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 9 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab 30/360, US (30U/360), 30/360 (SIA) \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab Mayle (1993); SWX (2003) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{Actual/365 (Fixed)} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 10 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab Act/365 (Fixed), A/365 (Fixed), A/365F, English \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab ISDA (2006) section 4.16 (d); SWX (2003) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{Actual(NL)/365} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 11 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab Act(No Leap Year)/365 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab Krgin (2002); Thomson Reuters EIKON \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' \tab \tab \tab \cr
#' \tab \tab \tab \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{Actual/360} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 12 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab Act/360, A/360, French \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab ISDA (2006) section 4.16 (e); SWX (2003) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{30/365} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 13 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab Krgin (2002); Thomson Reuters EIKON \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{Act/365 (Canadian Bond)} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 14 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab IIAC (2018); Thomson Reuters EIKON \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{Act/364} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 15 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab Thomson Reuters EIKON \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{BusDay/252 (Brazilian)} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 16 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab BUS/252, BD/252 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab Caputo Silva et al. (2010), \cr
#' \tab | \tab \tab Itau Unibanco S.A. (2017) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' }
#'
#' @param StartDate Calendar date on which interest accrual starts. Date class object with format "\%Y-\%m-\%d". (required)
#' @param EndDate Calendar date up to which interest accrues. Date class object with format "\%Y-\%m-\%d". (required)
#' @param Coup Nominal interest rate per year in percent. (required)
#' @param DCC The day count convention for interest accrual. (required)
#' @param RV The redemption value of the bond. Default: 100.
#' @param CpY Number of interest payments per year (non-negative integer; element of the set
#' \{1,2,3,4,6,12\}. Default: 2.
#' @param Mat So-called "maturity date" i.e. date on which the redemption value and the final interest
#' are paid. Date class object with format "\%Y-\%m-\%d".
#' @param YearNCP Year figure of the next coupon payment date after \code{EndDate}.
#' @param EOM Boolean indicating whether the bond follows the End-of-Month rule.
#' @param DateOrigin Determines the starting point for the daycount in "Date" objects.
#' Default: "1970-01-01".
#' @param InputCheck If 1, the input variables are checked for the correct format. Default: 1.
#'
#' @return
#' \describe{
#' \item{AccrInt}{
#' Accrued interest on \code{EndDate}, given the other characteristics.
#' }
#' \item{DaysAccrued}{
#' The number of days of interest from \code{StartDate} to \code{EndDate}.
#' }
#' }
#'
#' @references
#' \enumerate{
#' \item{Banking Federation of the European Union (EBF), 2004, Master Agreement for Financial Transactions - Supplement to the Derivatives Annex - Interest Rate Transactions.}
#' \item{Caputo Silva, Anderson, Lena Oliveira de Carvalho, and Octavio Ladeira de Medeiros, 2010, \emph{Public Debt: The Brazilian Experience} (National Treasury Secretariat and World Bank, Brasilia, BR).}
#' \item{Djatschenko, Wadim, The Nitty Gritty of Bond Valuation: A Generalized Methodology for Fixed Coupon Bond Analysis Allowing for Irregular Periods and Various Day Count Conventions (November 5, 2018). Available at SSRN: https://ssrn.com/abstract=3205167.}
#' \item{International Capital Market Association (ICMA), 2010, Rule 251 Accrued Interest Calculation - Excerpt from ICMA's Rules and Recommendations.}
#' \item{Investment Industry Association of Canada (IIAC), 2018, Canadian Conventions in Fixed Income Markets - A Reference Document of Fixed Income Securities Formulas and Practices; Release: 1.3.}
#' \item{International Swaps and Derivatives Association (ISDA), Inc., 1998, "EMU and Market Conventions: Recent Developments".}
#' \item{International Swaps and Derivatives Association (ISDA), 2006, Inc., \emph{2006 ISDA Definitions.}, New York.}
#' \item{Itau Unibanco S.A., 2017, Brazilian Sovereign Fixed Income and Foreign Exchange Markets - Handbook (First Edition).}
#' \item{Krgin, Dragomir, 2002, The Handbook of Global Fixed Income Calculations. (Wiley, New York).}
#' \item{Mayle, Jan, 1993, Standard Securities Calculation Methods: Fixed Income Securities Formulas for Price, Yield, and Accrued Interest, volume 1, New York: Securities Industry Association, third edition.}
#' \item{Municipal Securities Rulemaking Board (MSRB), 2017, MSRB Rule Book, Washington, DC: Municipal Securities Rulemaking Board.}
#' \item{SWX Swiss Exchange and D. Christie, 2003, "Accrued Interest & Yield Calculations and Determination of Holiday Calendars".}
#' }
#'
#' @examples
#' StartDate<-rep(as.Date("2011-08-31"),16)
#' EndDate<-rep(as.Date("2012-02-29"),16)
#' Coup<-rep(5.25,16)
#' DCC<-seq(1,16)
#' RV<-rep(10000,16)
#' CpY<-rep(2,16)
#' Mat<-rep(as.Date("2021-08-31"),16)
#' YearNCP<-rep(2012,16)
#' EOM<-rep(1,16)
#'
#' DCC_Comparison<-data.frame(StartDate,EndDate,Coup,DCC,RV,CpY,Mat,YearNCP,EOM)
#'
#' AccrIntOutput<-apply(DCC_Comparison[,c('StartDate','EndDate','Coup','DCC',
#' 'RV','CpY','Mat','YearNCP','EOM')],1,function(y) AccrInt(y[1],y[2],y[3],
#' y[4],y[5],y[6],y[7],y[8],y[9]))
#' # warnings are due to apply's conversion of the variables' classes in
#' # DCC_Comparison to class "character"
#' Accrued_Interest<-do.call(rbind,lapply(AccrIntOutput, function(x) x[[1]]))
#' Days_Accrued<-do.call(rbind,lapply(AccrIntOutput, function(x) x[[2]]))
#' DCC_Comparison<-cbind(DCC_Comparison,Accrued_Interest,Days_Accrued)
#' DCC_Comparison
#'
#'
#' @export
AccrInt<-function(StartDate=as.Date(NA),EndDate=as.Date(NA),Coup=as.numeric(NA),DCC=as.numeric(NA),RV=as.numeric(NA),CpY=as.numeric(NA),Mat=as.Date(NA),YearNCP=as.Date(NA),EOM=as.numeric(NA),DateOrigin=as.Date("1970-01-01"),InputCheck=1) {
NAccr<-as.numeric(NA)
AccrInt<-as.numeric(NA)
if (InputCheck==1) {
CheckedInput<-InputFormatCheck(StartDate=StartDate,EndDate=EndDate,Coup=Coup,DCC=DCC,RV=RV,CpY=CpY,Mat=Mat,YearNCP=YearNCP,EOM=EOM,DateOrigin=DateOrigin)
StartDate<-CheckedInput$StartDate
EndDate<-CheckedInput$EndDate
Coup<-CheckedInput$Coup
DCC<-CheckedInput$DCC
RV<-CheckedInput$RV
CpY<-CheckedInput$CpY
Mat<-CheckedInput$Mat
YearNCP<-CheckedInput$YearNCP
EOM<-CheckedInput$EOM
DateOrigin<-CheckedInput$DateOrigin
}
if ((missing(StartDate))|(is.na(StartDate))) {
warning("The supplied StartDate is NA or cannot be processed. NA created!")
} else {
if ((missing(EndDate))|(is.na(EndDate))) {
warning("The supplied EndDate is NA or cannot be processed. NA created!")
} else {
if (EndDate<StartDate) {
warning("The supplied EndDate is prior to the supplied StartDate. NA created!")
} else {
if ((missing(Coup))|(is.na(Coup))) {
warning("The supplied interest rate p.a. (Coup) is NA or cannot be processed. NA created!")
} else {
# If DCC is not provided or NA or not element of {1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16}, the following code sets it 2 (Act/Act (ICMA)).
if ((missing(DCC))|(is.na(DCC))) {
DCC<-2
warning("The day count indentifier (DCC) is missing or NA. DCC is set 2 (Act/Act (ICMA))!")
} else {
if (!(is.element(DCC,c(1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16)))) {
DCC<-2
warning("The day count indentifier (DCC) is not element of {1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16}!
DCC is set 2 (Act/Act (ICMA))!")
}
}
if ((DCC==7)&((missing(Mat))|(is.na(Mat)))) {
warning("Maturity date (Mat) is missing or NA. Accrued interest computation for the specified
day count convention 30E/360 (ISDA) requires a valid Mat value. NA created!")
} else {
if ((DCC==9)&((missing(EOM))|(is.na(EOM)))) {
warning("End-of-Month-Rule identifier (EOM) is missing or NA. Accrued interest computation for
the specified day count convention 30/360 US requires a valid EOM value. NA created!")
} else {
if ((DCC==13)&((missing(EOM))|(is.na(EOM)))) {
warning("End-of-Month-Rule identifier (EOM) is missing or NA. Accrued interest computation for
the specified day count convention 30/365 requires a valid EOM value. NA created!")
} else {
if ((DCC==2)&((missing(EOM))|(is.na(EOM)))) {
warning("End-of-Month-Rule identifier (EOM) is missing or NA. Accrued interest computation for
the specified day count convention Act/Act (ICMA) requires a valid EOM value. NA created!")
} else {
if ((DCC==14)&((missing(EOM))|(is.na(EOM)))) {
warning("End-of-Month-Rule identifier (EOM) is missing or NA. Accrued interest computation for
the specified day count convention Act/365 (Canadian Bond) requires a valid EOM value. NA created!")
} else {
if ((DCC==4)&(CpY!=1)&((missing(YearNCP))|(is.na(YearNCP)))) {
warning(paste0("Year figure of the next coupon payment date after EndDate (YearNCP) is missing or NA.
Accrued interest computation for the specified day count convention Act/365L with ",CpY,
" requires a valid YearNCP value. NA created!"))
} else {
if ((DCC==2)&((missing(CpY))|(is.na(CpY)))) {
CpY<-2
warning("Number of interest payments per year (CpY) is missing or NA. Accrued interest computation for
the specified day count convention Act/Act (ICMA) requires a valid CpY value. CpY is set 2!")
} else {
if ((DCC==2)&(!(is.element(CpY,c(1,2,3,4,6,12))))) {
CpY<-2
warning("Number of interest payments per year (CpY) is not element of {1,2,3,4,6,12}. Accrued interest computation for
the specified day count convention Act/Act (ICMA) requires a valid CpY value. CpY is set 2!")
}
}
if ((DCC==4)&((missing(CpY))|(is.na(CpY)))) {
CpY<-2
warning("Number of interest payments per year (CpY) is missing or NA. Accrued interest computation for
the specified day count convention Act/365L requires a valid CpY value. CpY is set 2!")
} else {
if ((DCC==4)&(!(is.element(CpY,c(1,2,3,4,6,12))))) {
CpY<-2
warning("Number of interest payments per year (CpY) is not element of {1,2,3,4,6,12}. Accrued interest computation for
the specified day count convention Act/365L requires a valid CpY value. CpY is set 2!")
}
}
if ((DCC==14)&((missing(CpY))|(is.na(CpY)))) {
CpY<-2
warning("Number of interest payments per year (CpY) is missing or NA. Accrued interest computation for
the specified day count convention Act/365 (Canadian Bond) requires a valid CpY value. CpY is set 2!")
} else {
if ((DCC==14)&(!(is.element(CpY,c(1,2,3,4,6,12))))) {
CpY<-2
warning("Number of interest payments per year (CpY) is not element of {1,2,3,4,6,12}. Accrued interest computation for
the specified day count convention Act/365 (Canadian Bond) requires a valid CpY value. CpY is set 2!")
}
}
if (DCC==16) {
if ((missing(CpY))|(is.na(CpY))) {
CpY<-2
warning("Number of interest payments per year (CpY) is missing or NA. Accrued interest computation for
the specified day count convention BusDay/252 (Brazilian) requires a valid CpY value. CpY is set 2!")
} else {
if (!(is.element(CpY,c(1,2,3,4,6,12)))) {
CpY<-2
warning("Number of interest payments per year (CpY) is not element of {1,2,3,4,6,12}. Accrued interest computation for
the specified day count convention BusDay/252 (Brazilian) requires a valid CpY value. CpY is set 2!")
}
}
}
if ((missing(RV))|(is.na(RV))) {
RV<-100
warning("Redemption value (RV) is missing or NA. RV is set 100!")
}
if (is.element(DCC,c(1,3,5,6,8,10,11,12,15))) {
# c(RV,Coup,DCC,Y1,M1,D1,Y2,M2,D2)
Atoms_StartDate<-as.numeric(unlist(strsplit(as.character(StartDate),split = "-")))
Atoms_EndDate<-as.numeric(unlist(strsplit(as.character(EndDate),split = "-")))
DIST_Output<-DIST(c(DCC,Atoms_StartDate,Atoms_EndDate))
NAccr<-DIST_Output[1]
AccrInt<-RV*(Coup/100)*DIST_Output[2]
} else {
if (DCC==16) {
# c(RV,Coup,DCC,Y1,M1,D1,Y2,M2,D2,NonBus)
NonBus.Start.End<-length(which((NonBusDays.Brazil$Date>=StartDate)&(NonBusDays.Brazil$Date<EndDate)))
Atoms_StartDate<-as.numeric(unlist(strsplit(as.character(StartDate),split = "-")))
Atoms_EndDate<-as.numeric(unlist(strsplit(as.character(EndDate),split = "-")))
DIST_Output<-DIST(c(DCC,Atoms_StartDate,Atoms_EndDate,NonBus.Start.End))
NAccr<-DIST_Output[1]
AccrInt<-RV*(((1+Coup/100)^(DIST_Output[2]))-1)
} else {
if (DCC==4) {
# c(RV,Coup,DCC,Y1,M1,D1,Y2,M2,D2,YearNCP,CpY)
Atoms_StartDate<-as.numeric(unlist(strsplit(as.character(StartDate),split = "-")))
Atoms_EndDate<-as.numeric(unlist(strsplit(as.character(EndDate),split = "-")))
DIST_Output<-DIST(c(DCC,Atoms_StartDate,Atoms_EndDate,YearNCP,CpY))
NAccr<-DIST_Output[1]
AccrInt<-RV*(Coup/100)*DIST_Output[2]
} else {
if (DCC==7) {
# c(RV,Coup,DCC,Y1,M1,D1,Y2,M2,D2,YMat,MMat,DMat)
Atoms_StartDate<-as.numeric(unlist(strsplit(as.character(StartDate),split = "-")))
Atoms_EndDate<-as.numeric(unlist(strsplit(as.character(EndDate),split = "-")))
Atoms_Mat<-as.numeric(unlist(strsplit(as.character(Mat),split = "-")))
DIST_Output<-DIST(c(DCC,Atoms_StartDate,Atoms_EndDate,Atoms_Mat))
NAccr<-DIST_Output[1]
AccrInt<-RV*(Coup/100)*DIST_Output[2]
} else {
if (is.element(DCC,c(9,13))) {
# c(RV,Coup,DCC,Y1,M1,D1,Y2,M2,D2,EOM)
Atoms_StartDate<-as.numeric(unlist(strsplit(as.character(StartDate),split = "-")))
Atoms_EndDate<-as.numeric(unlist(strsplit(as.character(EndDate),split = "-")))
DIST_Output<-DIST(c(DCC,Atoms_StartDate,Atoms_EndDate,EOM))
NAccr<-DIST_Output[1]
AccrInt<-RV*(Coup/100)*DIST_Output[2]
} else {
if (DCC==2|DCC==14) {
if (CpY==1) {N_months<-12}
if (CpY==2) {N_months<-6}
if (CpY==3) {N_months<-4}
if (CpY==4) {N_months<-3}
if (CpY==6) {N_months<-2}
if (CpY==12) {N_months<-1}
AtomVector_StartDate<-as.numeric(unlist(strsplit(as.character(StartDate),split = "-")))
Atom1StartDate<-AtomVector_StartDate[1]
Atom2StartDate<-AtomVector_StartDate[2]
Atom3StartDate<-AtomVector_StartDate[3]
StartDateHelp<-as.Date(paste(Atom1StartDate,Atom2StartDate,15,sep="-"))
AtomVector_EndDate<-as.numeric(unlist(strsplit(as.character(EndDate),split = "-")))
Atom1EndDate<-AtomVector_EndDate[1]
Atom2EndDate<-AtomVector_EndDate[2]
Atom3EndDate<-AtomVector_EndDate[3]
LDM_EndDate<-as.numeric(Date_LDM(c(Atom1EndDate,Atom2EndDate,Atom3EndDate)))
LDM_EndDate<-as.Date(paste(LDM_EndDate[1],LDM_EndDate[2],LDM_EndDate[3],sep="-"))
AnnivDates<-seq(StartDateHelp,LDM_EndDate,by=paste(N_months," months",sep=""))
# assigning the reference date that determines the day figures of all AnnivDates
Atom1Refer<-Atom1StartDate
Atom2Refer<-Atom2StartDate
Atom3Refer<-Atom3StartDate
if (EOM==1) {
AnnivDates<-as.Date(timeLastDayInMonth(AnnivDates))
} else {
AnnivDates_A<-as.Date(ISOdatetime(t(atoms(as.timeDate(AnnivDates))[1]),t(atoms(as.timeDate(AnnivDates))[2]),Atom3Refer,12,0,0))
if (length(which(is.na(AnnivDates_A)))!=0) {
# Assuming %d of LIPD as the %d of all AnnivDates produced NAs. NAs are substituted by the respective last day in month.
nas<-which(is.na(AnnivDates_A))
AnnivDates_B<-as.Date(timeLastDayInMonth(AnnivDates[nas]))
AnnivDates<-sort(na.omit(append(AnnivDates_A,AnnivDates_B)))
} else {
AnnivDates<-AnnivDates_A
}
}
AnnivDates<-sort(AnnivDates[!duplicated(AnnivDates)])
# creating the anniversary date preceding AD1
AtomVector_AD1<-as.numeric(unlist(strsplit(as.character(AnnivDates[1]),split = "-")))
Atom1AD1<-AtomVector_AD1[1]
Atom2AD1<-AtomVector_AD1[2]
Atom3AD1<-AtomVector_AD1[3]
PrevDate<-as.numeric(CppPrevDate(c(Atom1AD1,Atom2AD1,Atom3AD1,Atom1AD1,Atom2AD1,Atom3AD1,Atom1Refer,Atom2Refer,Atom3Refer,CpY,EOM)))
PrevDate<-as.Date(paste(PrevDate[1],PrevDate[2],PrevDate[3],sep="-"))
AnnivDates<-c(PrevDate,AnnivDates)
AnnivDates<-sort(na.omit(AnnivDates[!duplicated(AnnivDates)]))
# creating the anniversary date succeeding ADfin
AtomVector_ADfin<-as.numeric(unlist(strsplit(as.character(AnnivDates[length(AnnivDates)]),split = "-")))
Atom1ADfin<-AtomVector_ADfin[1]
Atom2ADfin<-AtomVector_ADfin[2]
Atom3ADfin<-AtomVector_ADfin[3]
SuccDate<-as.numeric(CppSuccDate(c(Atom1ADfin,Atom2ADfin,Atom3ADfin,Atom1ADfin,Atom2ADfin,Atom3ADfin,Atom1Refer,Atom2Refer,Atom3Refer,CpY,EOM)))
SuccDate<-as.Date(paste(SuccDate[1],SuccDate[2],SuccDate[3],sep="-"))
AnnivDates<-c(AnnivDates,SuccDate)
AnnivDates<-sort(na.omit(AnnivDates[!duplicated(AnnivDates)]))
# DIST: for DCC = 2 x is a vector of 22 integers:
# c(DCC,Y1,M1,D1,Y2,M2,D2,Y3,M3,D3,Y4,M4,D4,Y5,M5,D5,Y6,M6,D6,P,N,CpY) with
# Y1-M1-D1 = PCD(t_a,AD) ; Y2-M2-D2 = t_a ; Y3-M3-D3 = NCD(t_a,AD)
# Y4-M4-D4 = PCD(t_b,AD) ; Y5-M5-D5 = t_b ; Y6-M6-D6 = NCD(t_b,AD)
# P = P(t_b,AD) ; N = N(t_a,AD)
PCD_StartDate<-PCD(StartDate,AnnivDates)
Atoms_PCD_StartDate<-as.numeric(unlist(strsplit(as.character(PCD_StartDate),split = "-")))
# Atom1_PCD_StartDate<-Atoms_PCD_StartDate[1]
# Atom2_PCD_StartDate<-Atoms_PCD_StartDate[2]
# Atom3_PCD_StartDate<-Atoms_PCD_StartDate[3]
NCD_StartDate<-NCD(StartDate,AnnivDates)
Atoms_NCD_StartDate<-as.numeric(unlist(strsplit(as.character(NCD_StartDate),split = "-")))
# Atom1_NCD_StartDate<-Atoms_NCD_StartDate[1]
# Atom2_NCD_StartDate<-Atoms_NCD_StartDate[2]
# Atom3_NCD_StartDate<-Atoms_NCD_StartDate[3]
PCD_EndDate<-PCD(EndDate,AnnivDates)
Atoms_PCD_EndDate<-as.numeric(unlist(strsplit(as.character(PCD_EndDate),split = "-")))
# Atom1_PCD_EndDate<-Atoms_PCD_EndDate[1]
# Atom2_PCD_EndDate<-Atoms_PCD_EndDate[2]
# Atom3_PCD_EndDate<-Atoms_PCD_EndDate[3]
NCD_EndDate<-NCD(EndDate,AnnivDates)
Atoms_NCD_EndDate<-as.numeric(unlist(strsplit(as.character(NCD_EndDate),split = "-")))
# Atom1_NCD_EndDate<-Atoms_NCD_EndDate[1]
# Atom2_NCD_EndDate<-Atoms_NCD_EndDate[2]
# Atom3_NCD_EndDate<-Atoms_NCD_EndDate[3]
AD_indexes<-c(1:length(AnnivDates))-1
AD_List<-list(AnnivDates,AD_indexes)
N_StartDate<-AD_List[[2]][which(AD_List[[1]]==NCD_StartDate)]
P_EndDate<-AD_List[[2]][which(AD_List[[1]]==PCD_EndDate)]
DIST_Output<-DIST(c(DCC,Atoms_PCD_StartDate,AtomVector_StartDate,Atoms_NCD_StartDate,
Atoms_PCD_EndDate,AtomVector_EndDate,Atoms_NCD_EndDate,P_EndDate,N_StartDate,CpY))
NAccr<-DIST_Output[1]
AccrInt<-RV*(Coup/100)*DIST_Output[2]
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
Output<-list(AccrInt=AccrInt,DaysAccrued=NAccr)
return(Output)
}
Try the BondValuation package in your browser
Any scripts or data that you put into this service are public.
BondValuation documentation built on May 30, 2022, 1:08 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Defines functions AccrInt
Documented in AccrInt
#' AccrInt (calculation of accrued interest)
#'
#' \bold{AccrInt} returns the amount of interest accrued from some starting date
#' up to some end date and the number of days of interest on the end date.
#'
#' \tabular{cl}{
#' \code{DCC} \tab required input \cr
#' _____________________ \tab _____________________________________________ \cr
#' 1,3,5,6,8,10,11,12,15,16 \tab \code{StartDate}, \code{EndDate},
#' \code{Coup}, \code{DCC}, \code{RV} \cr
#' 2,14 \tab \code{StartDate}, \code{EndDate},
#' \code{Coup}, \code{DCC}, \code{RV},
#' \code{CpY}, \code{EOM} \cr
#' 4 \tab \code{StartDate}, \code{EndDate},
#' \code{Coup}, \code{DCC}, \code{RV},
#' \code{CpY}, \code{EOM},
#' \code{YearNCP} \cr
#' 7 \tab \code{StartDate}, \code{EndDate},
#' \code{Coup}, \code{DCC}, \code{RV},
#' \code{Mat} \cr
#' 9,13 \tab \code{StartDate}, \code{EndDate},
#' \code{Coup}, \code{DCC}, \code{RV},
#' \code{EOM} \cr
#' =================== \tab ======================================== \cr
#' }
#'
#' Assuming that there is no accrued interest on \code{StartDate} the function
#' \bold{AccrInt} computes the amount of interest accrued up to \code{EndDate}
#' under the terms of the specified day count convention \code{DCC}. The function
#' returns a list of two numerics \code{AccrInt}, and \code{DaysAccrued}.
#' If \code{InputCheck = 1} the input variables are checked for the correct
#' format. The core feature of this function is the proper handling of the
#' \emph{\bold{day count conventions}} presented below. The type of the day
#' count convention determines the amount of the accrued interest that has
#' to be paid by the buyer in the secondary market if the settlement
#' takes place between two coupon payment dates.
#'
#' \itemize{
#' \item Many different day count conventions are used in the market.
#' Since there is no central authority that develops these conventions
#' there is no standardized nomenclature. The tables below provide
#' alternative names that often are used for the respective conventions.
#' Type \code{View(List.DCC)} for a list of the day count methods
#' currently implemented.
#' \item Detailed descriptions of the conventions and their application may
#' be found in Djatschenko (2018), and the other provided references.
#' }
#'
#' \bold{Day Count Conventions}
#'
#' \describe{
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{Actual/Actual (ISDA)} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 1 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab Actual/Actual, Act/Act, Act/Act (ISDA) \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab ISDA (1998); ISDA (2006) section 4.16 (b) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{Actual/Actual (ICMA)} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 2 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab Actual/Actual (ISMA), Act/Act (ISMA), \cr
#' \tab | \tab \tab Act/Act (ICMA), ISMA-99 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab ICMA Rule 251; ISDA (2006) section 4.16 (c); \cr
#' \tab | \tab \tab SWX (2003) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{Actual/Actual (AFB)} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 3 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab AFB Method, Actual/Actual (Euro), \cr
#' \tab | \tab \tab Actual/Actual AFB FBF, ACT/365-366 (leap day) \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab ISDA (1998); EBF (2004) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{Actual/365L} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 4 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab Act/365-366, ISMA-Year \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab ICMA Rule 251; SWX (2003) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{30/360} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 5 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab 360/360, Bond Basis, 30/360 ISDA \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab ISDA (2006) section 4.16 (f); \cr
#' \tab | \tab \tab MSRB (2017) Rule G-33 \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{30E/360} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 6 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab Eurobond Basis, Special German (30S/360), \cr
#' \tab | \tab \tab ISMA-30/360 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab ICMA Rule 251; ISDA (2006) section 4.16 (g); \cr
#' \tab | \tab \tab SWX (2003) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{30E/360 (ISDA)} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 7 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab none \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab ISDA (2006) section 4.16 (h) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{30/360 (German)} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 8 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab 360/360 (German Master); German (30/360) \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab EBF (2004); SWX (2003) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{30/360 US} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 9 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab 30/360, US (30U/360), 30/360 (SIA) \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab Mayle (1993); SWX (2003) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{Actual/365 (Fixed)} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 10 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab Act/365 (Fixed), A/365 (Fixed), A/365F, English \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab ISDA (2006) section 4.16 (d); SWX (2003) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{Actual(NL)/365} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 11 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab Act(No Leap Year)/365 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab Krgin (2002); Thomson Reuters EIKON \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' \tab \tab \tab \cr
#' \tab \tab \tab \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{Actual/360} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 12 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab Act/360, A/360, French \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab ISDA (2006) section 4.16 (e); SWX (2003) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{30/365} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 13 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab Krgin (2002); Thomson Reuters EIKON \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{Act/365 (Canadian Bond)} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 14 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab IIAC (2018); Thomson Reuters EIKON \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{Act/364} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 15 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab Thomson Reuters EIKON \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' \item{-}{
#' \tabular{cccl}{
#' \tab \tab \tab \bold{BusDay/252 (Brazilian)} \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' DCC \tab | \tab = \tab 16 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' other names \tab | \tab \tab BUS/252, BD/252 \cr
#' ___________\tab | \tab ___ \tab ________________________________________________ \cr
#' references \tab | \tab \tab Caputo Silva et al. (2010), \cr
#' \tab | \tab \tab Itau Unibanco S.A. (2017) \cr
#' ==========\tab | \tab === \tab =========================================== \cr
#' }
#' }
#'
#' }
#'
#' @param StartDate Calendar date on which interest accrual starts. Date class object with format "\%Y-\%m-\%d". (required)
#' @param EndDate Calendar date up to which interest accrues. Date class object with format "\%Y-\%m-\%d". (required)
#' @param Coup Nominal interest rate per year in percent. (required)
#' @param DCC The day count convention for interest accrual. (required)
#' @param RV The redemption value of the bond. Default: 100.
#' @param CpY Number of interest payments per year (non-negative integer; element of the set
#' \{1,2,3,4,6,12\}. Default: 2.
#' @param Mat So-called "maturity date" i.e. date on which the redemption value and the final interest
#' are paid. Date class object with format "\%Y-\%m-\%d".
#' @param YearNCP Year figure of the next coupon payment date after \code{EndDate}.
#' @param EOM Boolean indicating whether the bond follows the End-of-Month rule.
#' @param DateOrigin Determines the starting point for the daycount in "Date" objects.
#' Default: "1970-01-01".
#' @param InputCheck If 1, the input variables are checked for the correct format. Default: 1.
#'
#' @return
#' \describe{
#' \item{AccrInt}{
#' Accrued interest on \code{EndDate}, given the other characteristics.
#' }
#' \item{DaysAccrued}{
#' The number of days of interest from \code{StartDate} to \code{EndDate}.
#' }
#' }
#'
#' @references
#' \enumerate{
#' \item{Banking Federation of the European Union (EBF), 2004, Master Agreement for Financial Transactions - Supplement to the Derivatives Annex - Interest Rate Transactions.}
#' \item{Caputo Silva, Anderson, Lena Oliveira de Carvalho, and Octavio Ladeira de Medeiros, 2010, \emph{Public Debt: The Brazilian Experience} (National Treasury Secretariat and World Bank, Brasilia, BR).}
#' \item{Djatschenko, Wadim, The Nitty Gritty of Bond Valuation: A Generalized Methodology for Fixed Coupon Bond Analysis Allowing for Irregular Periods and Various Day Count Conventions (November 5, 2018). Available at SSRN: https://ssrn.com/abstract=3205167.}
#' \item{International Capital Market Association (ICMA), 2010, Rule 251 Accrued Interest Calculation - Excerpt from ICMA's Rules and Recommendations.}
#' \item{Investment Industry Association of Canada (IIAC), 2018, Canadian Conventions in Fixed Income Markets - A Reference Document of Fixed Income Securities Formulas and Practices; Release: 1.3.}
#' \item{International Swaps and Derivatives Association (ISDA), Inc., 1998, "EMU and Market Conventions: Recent Developments".}
#' \item{International Swaps and Derivatives Association (ISDA), 2006, Inc., \emph{2006 ISDA Definitions.}, New York.}
#' \item{Itau Unibanco S.A., 2017, Brazilian Sovereign Fixed Income and Foreign Exchange Markets - Handbook (First Edition).}
#' \item{Krgin, Dragomir, 2002, The Handbook of Global Fixed Income Calculations. (Wiley, New York).}
#' \item{Mayle, Jan, 1993, Standard Securities Calculation Methods: Fixed Income Securities Formulas for Price, Yield, and Accrued Interest, volume 1, New York: Securities Industry Association, third edition.}
#' \item{Municipal Securities Rulemaking Board (MSRB), 2017, MSRB Rule Book, Washington, DC: Municipal Securities Rulemaking Board.}
#' \item{SWX Swiss Exchange and D. Christie, 2003, "Accrued Interest & Yield Calculations and Determination of Holiday Calendars".}
#' }
#'
#' @examples
#' StartDate<-rep(as.Date("2011-08-31"),16)
#' EndDate<-rep(as.Date("2012-02-29"),16)
#' Coup<-rep(5.25,16)
#' DCC<-seq(1,16)
#' RV<-rep(10000,16)
#' CpY<-rep(2,16)
#' Mat<-rep(as.Date("2021-08-31"),16)
#' YearNCP<-rep(2012,16)
#' EOM<-rep(1,16)
#'
#' DCC_Comparison<-data.frame(StartDate,EndDate,Coup,DCC,RV,CpY,Mat,YearNCP,EOM)
#'
#' AccrIntOutput<-apply(DCC_Comparison[,c('StartDate','EndDate','Coup','DCC',
#' 'RV','CpY','Mat','YearNCP','EOM')],1,function(y) AccrInt(y[1],y[2],y[3],
#' y[4],y[5],y[6],y[7],y[8],y[9]))
#' # warnings are due to apply's conversion of the variables' classes in
#' # DCC_Comparison to class "character"
#' Accrued_Interest<-do.call(rbind,lapply(AccrIntOutput, function(x) x[[1]]))
#' Days_Accrued<-do.call(rbind,lapply(AccrIntOutput, function(x) x[[2]]))
#' DCC_Comparison<-cbind(DCC_Comparison,Accrued_Interest,Days_Accrued)
#' DCC_Comparison
#'
#'
#' @export
AccrInt<-function(StartDate=as.Date(NA),EndDate=as.Date(NA),Coup=as.numeric(NA),DCC=as.numeric(NA),RV=as.numeric(NA),CpY=as.numeric(NA),Mat=as.Date(NA),YearNCP=as.Date(NA),EOM=as.numeric(NA),DateOrigin=as.Date("1970-01-01"),InputCheck=1) {
NAccr<-as.numeric(NA)
AccrInt<-as.numeric(NA)
if (InputCheck==1) {
CheckedInput<-InputFormatCheck(StartDate=StartDate,EndDate=EndDate,Coup=Coup,DCC=DCC,RV=RV,CpY=CpY,Mat=Mat,YearNCP=YearNCP,EOM=EOM,DateOrigin=DateOrigin)
StartDate<-CheckedInput$StartDate
EndDate<-CheckedInput$EndDate
Coup<-CheckedInput$Coup
DCC<-CheckedInput$DCC
RV<-CheckedInput$RV
CpY<-CheckedInput$CpY
Mat<-CheckedInput$Mat
YearNCP<-CheckedInput$YearNCP
EOM<-CheckedInput$EOM
DateOrigin<-CheckedInput$DateOrigin
}
if ((missing(StartDate))|(is.na(StartDate))) {
warning("The supplied StartDate is NA or cannot be processed. NA created!")
} else {
if ((missing(EndDate))|(is.na(EndDate))) {
warning("The supplied EndDate is NA or cannot be processed. NA created!")
} else {
if (EndDate<StartDate) {
warning("The supplied EndDate is prior to the supplied StartDate. NA created!")
} else {
if ((missing(Coup))|(is.na(Coup))) {
warning("The supplied interest rate p.a. (Coup) is NA or cannot be processed. NA created!")
} else {
# If DCC is not provided or NA or not element of {1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16}, the following code sets it 2 (Act/Act (ICMA)).
if ((missing(DCC))|(is.na(DCC))) {
DCC<-2
warning("The day count indentifier (DCC) is missing or NA. DCC is set 2 (Act/Act (ICMA))!")
} else {
if (!(is.element(DCC,c(1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16)))) {
DCC<-2
warning("The day count indentifier (DCC) is not element of {1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16}!
DCC is set 2 (Act/Act (ICMA))!")
}
}
if ((DCC==7)&((missing(Mat))|(is.na(Mat)))) {
warning("Maturity date (Mat) is missing or NA. Accrued interest computation for the specified
day count convention 30E/360 (ISDA) requires a valid Mat value. NA created!")
} else {
if ((DCC==9)&((missing(EOM))|(is.na(EOM)))) {
warning("End-of-Month-Rule identifier (EOM) is missing or NA. Accrued interest computation for
the specified day count convention 30/360 US requires a valid EOM value. NA created!")
} else {
if ((DCC==13)&((missing(EOM))|(is.na(EOM)))) {
warning("End-of-Month-Rule identifier (EOM) is missing or NA. Accrued interest computation for
the specified day count convention 30/365 requires a valid EOM value. NA created!")
} else {
if ((DCC==2)&((missing(EOM))|(is.na(EOM)))) {
warning("End-of-Month-Rule identifier (EOM) is missing or NA. Accrued interest computation for
the specified day count convention Act/Act (ICMA) requires a valid EOM value. NA created!")
} else {
if ((DCC==14)&((missing(EOM))|(is.na(EOM)))) {
warning("End-of-Month-Rule identifier (EOM) is missing or NA. Accrued interest computation for
the specified day count convention Act/365 (Canadian Bond) requires a valid EOM value. NA created!")
} else {
if ((DCC==4)&(CpY!=1)&((missing(YearNCP))|(is.na(YearNCP)))) {
warning(paste0("Year figure of the next coupon payment date after EndDate (YearNCP) is missing or NA.
Accrued interest computation for the specified day count convention Act/365L with ",CpY,
" requires a valid YearNCP value. NA created!"))
} else {
if ((DCC==2)&((missing(CpY))|(is.na(CpY)))) {
CpY<-2
warning("Number of interest payments per year (CpY) is missing or NA. Accrued interest computation for
the specified day count convention Act/Act (ICMA) requires a valid CpY value. CpY is set 2!")
} else {
if ((DCC==2)&(!(is.element(CpY,c(1,2,3,4,6,12))))) {
CpY<-2
warning("Number of interest payments per year (CpY) is not element of {1,2,3,4,6,12}. Accrued interest computation for
the specified day count convention Act/Act (ICMA) requires a valid CpY value. CpY is set 2!")
}
}
if ((DCC==4)&((missing(CpY))|(is.na(CpY)))) {
CpY<-2
warning("Number of interest payments per year (CpY) is missing or NA. Accrued interest computation for
the specified day count convention Act/365L requires a valid CpY value. CpY is set 2!")
} else {
if ((DCC==4)&(!(is.element(CpY,c(1,2,3,4,6,12))))) {
CpY<-2
warning("Number of interest payments per year (CpY) is not element of {1,2,3,4,6,12}. Accrued interest computation for
the specified day count convention Act/365L requires a valid CpY value. CpY is set 2!")
}
}
if ((DCC==14)&((missing(CpY))|(is.na(CpY)))) {
CpY<-2
warning("Number of interest payments per year (CpY) is missing or NA. Accrued interest computation for
the specified day count convention Act/365 (Canadian Bond) requires a valid CpY value. CpY is set 2!")
} else {
if ((DCC==14)&(!(is.element(CpY,c(1,2,3,4,6,12))))) {
CpY<-2
warning("Number of interest payments per year (CpY) is not element of {1,2,3,4,6,12}. Accrued interest computation for
the specified day count convention Act/365 (Canadian Bond) requires a valid CpY value. CpY is set 2!")
}
}
if (DCC==16) {
if ((missing(CpY))|(is.na(CpY))) {
CpY<-2
warning("Number of interest payments per year (CpY) is missing or NA. Accrued interest computation for
the specified day count convention BusDay/252 (Brazilian) requires a valid CpY value. CpY is set 2!")
} else {
if (!(is.element(CpY,c(1,2,3,4,6,12)))) {
CpY<-2
warning("Number of interest payments per year (CpY) is not element of {1,2,3,4,6,12}. Accrued interest computation for
the specified day count convention BusDay/252 (Brazilian) requires a valid CpY value. CpY is set 2!")
}
}
}
if ((missing(RV))|(is.na(RV))) {
RV<-100
warning("Redemption value (RV) is missing or NA. RV is set 100!")
}
if (is.element(DCC,c(1,3,5,6,8,10,11,12,15))) {
# c(RV,Coup,DCC,Y1,M1,D1,Y2,M2,D2)
Atoms_StartDate<-as.numeric(unlist(strsplit(as.character(StartDate),split = "-")))
Atoms_EndDate<-as.numeric(unlist(strsplit(as.character(EndDate),split = "-")))
DIST_Output<-DIST(c(DCC,Atoms_StartDate,Atoms_EndDate))
NAccr<-DIST_Output[1]
AccrInt<-RV*(Coup/100)*DIST_Output[2]
} else {
if (DCC==16) {
# c(RV,Coup,DCC,Y1,M1,D1,Y2,M2,D2,NonBus)
NonBus.Start.End<-length(which((NonBusDays.Brazil$Date>=StartDate)&(NonBusDays.Brazil$Date<EndDate)))
Atoms_StartDate<-as.numeric(unlist(strsplit(as.character(StartDate),split = "-")))
Atoms_EndDate<-as.numeric(unlist(strsplit(as.character(EndDate),split = "-")))
DIST_Output<-DIST(c(DCC,Atoms_StartDate,Atoms_EndDate,NonBus.Start.End))
NAccr<-DIST_Output[1]
AccrInt<-RV*(((1+Coup/100)^(DIST_Output[2]))-1)
} else {
if (DCC==4) {
# c(RV,Coup,DCC,Y1,M1,D1,Y2,M2,D2,YearNCP,CpY)
Atoms_StartDate<-as.numeric(unlist(strsplit(as.character(StartDate),split = "-")))
Atoms_EndDate<-as.numeric(unlist(strsplit(as.character(EndDate),split = "-")))
DIST_Output<-DIST(c(DCC,Atoms_StartDate,Atoms_EndDate,YearNCP,CpY))
NAccr<-DIST_Output[1]
AccrInt<-RV*(Coup/100)*DIST_Output[2]
} else {
if (DCC==7) {
# c(RV,Coup,DCC,Y1,M1,D1,Y2,M2,D2,YMat,MMat,DMat)
Atoms_StartDate<-as.numeric(unlist(strsplit(as.character(StartDate),split = "-")))
Atoms_EndDate<-as.numeric(unlist(strsplit(as.character(EndDate),split = "-")))
Atoms_Mat<-as.numeric(unlist(strsplit(as.character(Mat),split = "-")))
DIST_Output<-DIST(c(DCC,Atoms_StartDate,Atoms_EndDate,Atoms_Mat))
NAccr<-DIST_Output[1]
AccrInt<-RV*(Coup/100)*DIST_Output[2]
} else {
if (is.element(DCC,c(9,13))) {
# c(RV,Coup,DCC,Y1,M1,D1,Y2,M2,D2,EOM)
Atoms_StartDate<-as.numeric(unlist(strsplit(as.character(StartDate),split = "-")))
Atoms_EndDate<-as.numeric(unlist(strsplit(as.character(EndDate),split = "-")))
DIST_Output<-DIST(c(DCC,Atoms_StartDate,Atoms_EndDate,EOM))
NAccr<-DIST_Output[1]
AccrInt<-RV*(Coup/100)*DIST_Output[2]
} else {
if (DCC==2|DCC==14) {
if (CpY==1) {N_months<-12}
if (CpY==2) {N_months<-6}
if (CpY==3) {N_months<-4}
if (CpY==4) {N_months<-3}
if (CpY==6) {N_months<-2}
if (CpY==12) {N_months<-1}
AtomVector_StartDate<-as.numeric(unlist(strsplit(as.character(StartDate),split = "-")))
Atom1StartDate<-AtomVector_StartDate[1]
Atom2StartDate<-AtomVector_StartDate[2]
Atom3StartDate<-AtomVector_StartDate[3]
StartDateHelp<-as.Date(paste(Atom1StartDate,Atom2StartDate,15,sep="-"))
AtomVector_EndDate<-as.numeric(unlist(strsplit(as.character(EndDate),split = "-")))
Atom1EndDate<-AtomVector_EndDate[1]
Atom2EndDate<-AtomVector_EndDate[2]
Atom3EndDate<-AtomVector_EndDate[3]
LDM_EndDate<-as.numeric(Date_LDM(c(Atom1EndDate,Atom2EndDate,Atom3EndDate)))
LDM_EndDate<-as.Date(paste(LDM_EndDate[1],LDM_EndDate[2],LDM_EndDate[3],sep="-"))
AnnivDates<-seq(StartDateHelp,LDM_EndDate,by=paste(N_months," months",sep=""))
# assigning the reference date that determines the day figures of all AnnivDates
Atom1Refer<-Atom1StartDate
Atom2Refer<-Atom2StartDate
Atom3Refer<-Atom3StartDate
if (EOM==1) {
AnnivDates<-as.Date(timeLastDayInMonth(AnnivDates))
} else {
AnnivDates_A<-as.Date(ISOdatetime(t(atoms(as.timeDate(AnnivDates))[1]),t(atoms(as.timeDate(AnnivDates))[2]),Atom3Refer,12,0,0))
if (length(which(is.na(AnnivDates_A)))!=0) {
# Assuming %d of LIPD as the %d of all AnnivDates produced NAs. NAs are substituted by the respective last day in month.
nas<-which(is.na(AnnivDates_A))
AnnivDates_B<-as.Date(timeLastDayInMonth(AnnivDates[nas]))
AnnivDates<-sort(na.omit(append(AnnivDates_A,AnnivDates_B)))
} else {
AnnivDates<-AnnivDates_A
}
}
AnnivDates<-sort(AnnivDates[!duplicated(AnnivDates)])
# creating the anniversary date preceding AD1
AtomVector_AD1<-as.numeric(unlist(strsplit(as.character(AnnivDates[1]),split = "-")))
Atom1AD1<-AtomVector_AD1[1]
Atom2AD1<-AtomVector_AD1[2]
Atom3AD1<-AtomVector_AD1[3]
PrevDate<-as.numeric(CppPrevDate(c(Atom1AD1,Atom2AD1,Atom3AD1,Atom1AD1,Atom2AD1,Atom3AD1,Atom1Refer,Atom2Refer,Atom3Refer,CpY,EOM)))
PrevDate<-as.Date(paste(PrevDate[1],PrevDate[2],PrevDate[3],sep="-"))
AnnivDates<-c(PrevDate,AnnivDates)
AnnivDates<-sort(na.omit(AnnivDates[!duplicated(AnnivDates)]))
# creating the anniversary date succeeding ADfin
AtomVector_ADfin<-as.numeric(unlist(strsplit(as.character(AnnivDates[length(AnnivDates)]),split = "-")))
Atom1ADfin<-AtomVector_ADfin[1]
Atom2ADfin<-AtomVector_ADfin[2]
Atom3ADfin<-AtomVector_ADfin[3]
SuccDate<-as.numeric(CppSuccDate(c(Atom1ADfin,Atom2ADfin,Atom3ADfin,Atom1ADfin,Atom2ADfin,Atom3ADfin,Atom1Refer,Atom2Refer,Atom3Refer,CpY,EOM)))
SuccDate<-as.Date(paste(SuccDate[1],SuccDate[2],SuccDate[3],sep="-"))
AnnivDates<-c(AnnivDates,SuccDate)
AnnivDates<-sort(na.omit(AnnivDates[!duplicated(AnnivDates)]))
# DIST: for DCC = 2 x is a vector of 22 integers:
# c(DCC,Y1,M1,D1,Y2,M2,D2,Y3,M3,D3,Y4,M4,D4,Y5,M5,D5,Y6,M6,D6,P,N,CpY) with
# Y1-M1-D1 = PCD(t_a,AD) ; Y2-M2-D2 = t_a ; Y3-M3-D3 = NCD(t_a,AD)
# Y4-M4-D4 = PCD(t_b,AD) ; Y5-M5-D5 = t_b ; Y6-M6-D6 = NCD(t_b,AD)
# P = P(t_b,AD) ; N = N(t_a,AD)
PCD_StartDate<-PCD(StartDate,AnnivDates)
Atoms_PCD_StartDate<-as.numeric(unlist(strsplit(as.character(PCD_StartDate),split = "-")))
# Atom1_PCD_StartDate<-Atoms_PCD_StartDate[1]
# Atom2_PCD_StartDate<-Atoms_PCD_StartDate[2]
# Atom3_PCD_StartDate<-Atoms_PCD_StartDate[3]
NCD_StartDate<-NCD(StartDate,AnnivDates)
Atoms_NCD_StartDate<-as.numeric(unlist(strsplit(as.character(NCD_StartDate),split = "-")))
# Atom1_NCD_StartDate<-Atoms_NCD_StartDate[1]
# Atom2_NCD_StartDate<-Atoms_NCD_StartDate[2]
# Atom3_NCD_StartDate<-Atoms_NCD_StartDate[3]
PCD_EndDate<-PCD(EndDate,AnnivDates)
Atoms_PCD_EndDate<-as.numeric(unlist(strsplit(as.character(PCD_EndDate),split = "-")))
# Atom1_PCD_EndDate<-Atoms_PCD_EndDate[1]
# Atom2_PCD_EndDate<-Atoms_PCD_EndDate[2]
# Atom3_PCD_EndDate<-Atoms_PCD_EndDate[3]
NCD_EndDate<-NCD(EndDate,AnnivDates)
Atoms_NCD_EndDate<-as.numeric(unlist(strsplit(as.character(NCD_EndDate),split = "-")))
# Atom1_NCD_EndDate<-Atoms_NCD_EndDate[1]
# Atom2_NCD_EndDate<-Atoms_NCD_EndDate[2]
# Atom3_NCD_EndDate<-Atoms_NCD_EndDate[3]
AD_indexes<-c(1:length(AnnivDates))-1
AD_List<-list(AnnivDates,AD_indexes)
N_StartDate<-AD_List[[2]][which(AD_List[[1]]==NCD_StartDate)]
P_EndDate<-AD_List[[2]][which(AD_List[[1]]==PCD_EndDate)]
DIST_Output<-DIST(c(DCC,Atoms_PCD_StartDate,AtomVector_StartDate,Atoms_NCD_StartDate,
Atoms_PCD_EndDate,AtomVector_EndDate,Atoms_NCD_EndDate,P_EndDate,N_StartDate,CpY))
NAccr<-DIST_Output[1]
AccrInt<-RV*(Coup/100)*DIST_Output[2]
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
}
Output<-list(AccrInt=AccrInt,DaysAccrued=NAccr)
return(Output)
}
Try the BondValuation package in your browser
Any scripts or data that you put into this service are public.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.